Correlation Between Gabelli Small and Tax-managed

Can any of the company-specific risk be diversified away by investing in both Gabelli Small and Tax-managed at the same time? Although using a correlation coefficient on its own may not help to predict future stock returns, this module helps to understand the diversifiable risk of combining Gabelli Small and Tax-managed into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between The Gabelli Small and Tax Managed Mid Small, you can compare the effects of market volatilities on Gabelli Small and Tax-managed and check how they will diversify away market risk if combined in the same portfolio for a given time horizon. You can also utilize pair trading strategies of matching a long position in Gabelli Small with a short position of Tax-managed. Check out your portfolio center. Please also check ongoing floating volatility patterns of Gabelli Small and Tax-managed.

Diversification Opportunities for Gabelli Small and Tax-managed

0.64

Correlation Coefficient

Gabelli Small  Tax-managed

Poor diversification

The 3 months correlation between Gabelli and Tax-managed is 0.64. Overlapping area represents the amount of risk that can be diversified away by holding The Gabelli Small and Tax Managed Mid Small in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Tax Managed Mid and Gabelli Small is a relative statistical measure of the degree to which these equity instruments tend to move together. The correlation coefficient measures the extent to which returns on The Gabelli Small are associated (or correlated) with Tax-managed. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Tax Managed Mid has no effect on the direction of Gabelli Small i.e., Gabelli Small and Tax-managed go up and down completely randomly.

Pair Corralation between Gabelli Small and Tax-managed

Assuming the 90 days horizon The Gabelli Small is expected to under-perform the Tax-managed. But the mutual fund apears to be less risky and, when comparing its historical volatility, The Gabelli Small is 1.23 times less risky than Tax-managed. The mutual fund trades about -0.38 of its potential returns per unit of risk. The Tax Managed Mid Small is currently generating about -0.26 of returns per unit of risk over similar time horizon. If you would invest  4,487  in Tax Managed Mid Small on October 10, 2024 and sell it today you would lose (287.00) from holding Tax Managed Mid Small or give up 6.4% of portfolio value over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Significant
Accuracy	100.0%
Values	Daily Returns

The Gabelli Small  vs.  Tax Managed Mid Small

Gabelli Small

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days The Gabelli Small has generated negative risk-adjusted returns adding no value to fund investors. In spite of latest weak performance, the Fund's basic indicators remain strong and the current disturbance on Wall Street may also be a sign of long term gains for the fund investors.

Tax Managed Mid

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Tax Managed Mid Small has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong basic indicators, Tax-managed is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Gabelli Small and Tax-managed

The main advantage of trading using opposite Gabelli Small and Tax-managed positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Gabelli Small position performs unexpectedly, Tax-managed can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Tax-managed will offset losses from the drop in Tax-managed's long position.

The idea behind The Gabelli Small and Tax Managed Mid Small pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.

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Note that this page's information should be used as a complementary analysis to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Fundamentals Comparison module to compare fundamentals across multiple equities to find investing opportunities.